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Marcel Prokopczuk

SSRN Author Rank: 2,292 by Downloads and 15,588 by Citations

 

Leibniz Universität Hannover - Faculty of Economics and Management


 Koenigsworther Platz 1
 Hannover, 30167
 Germany
 email address
 

University of Reading - Henley Business School - ICMA Centre


 Whiteknights Park
 P.O. Box 242
 Reading RG6 6BA
 United Kingdom
 email address

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. Marcel Prokopczuk's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
10,851
Total
Citations
22
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
The Dynamics of Commodity Prices | Show Abstract | Download This Paper | Open PDF in Browser |
Quantitative Finance, Vol. 13, No. 4, 2013
Number of Pages in PDF File: 42
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
23 May 11
Last Revised:
29 Dec 13
726
(22,173)
3

2.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
ICMA Centre
Posted:
04 Jan 13
Last Revised:
07 Apr 14
695
(21,794)
2

3.  
Investing in Commodity Futures Markets: Can Pricing Models Help? | Show Abstract | Download This Paper | Open PDF in Browser |
European Journal of Finance, Vol. 18, No. 1-2, 2012
Number of Pages in PDF File: 41
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
27 Feb 09
Last Revised:
24 Apr 12
647
(26,409)
 

4.  
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Energy Markets, Vol. 2, No. 3, 2009
Number of Pages in PDF File: 41
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
06 Mar 08
Last Revised:
24 Apr 12
626
(27,645)
3

5.  
Seasonality and the Valuation of Commodity Options | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Banking and Finance, Vol. 37, No. 2, 2013
Number of Pages in PDF File: 61
Back, Janis
WHU - Otto Beisheim School of Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
Posted:
29 Nov 09
Last Revised:
02 Jan 13
571
(31,565)
3

6.  
Estimating Beta | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of Pages in PDF File: 78
Hollstein, Fabian
Leibniz Universität Hannover - Faculty of Economics and Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
15 Dec 14
Last Revised:
18 Jun 15
537
(21,930)
 

7.  
Credit Risk in Covered Bonds | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Empirical Finance, Vol. 21, No. 1, 2013
Number of Pages in PDF File: 46
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Siewert, Jan B.
Unversity of Mannheim – Center for Doctoral Studies in Business
Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
Posted:
04 Oct 10
Last Revised:
29 Dec 13
502
(35,404)
 

8.  
Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage | Show Abstract | Download This Paper | Open PDF in Browser |
Quarterly Review of Economics and Finance, Vol. 53, No. 1, 2013
Number of Pages in PDF File: 35
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
25 Oct 11
Last Revised:
29 Dec 13
481
(38,245)
 

9.  
Commodity Price Dynamics and Derivatives Valuation: A Review | Show Abstract | Download This Paper | Open PDF in Browser |
International Journal of Theoretical and Applied Finance, Vol. 16, No. 6, 2013
Number of Pages in PDF File: 39
Back, Janis
WHU - Otto Beisheim School of Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
22 Aug 12
Last Revised:
29 Dec 13
447
(41,408)
 

10.  
Pricing and Hedging in the Freight Futures Market | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Futures Markets, Vol. 31, No. 5, 2011
Number of Pages in PDF File: 36
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
06 Mar 10
Last Revised:
26 Apr 12
431
(45,238)
2

11.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
ICMA Centre
Posted:
21 Mar 13
Last Revised:
15 Jun 14
416
(45,925)
 

12.  
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
22 Jul 09
Last Revised:
26 Apr 12
391
(51,941)
1

13.  
Symeonidis, Lazaros
University of East Anglia (UEA) - Norwich Business School
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Brooks, Chris
University of Reading - ICMA Centre
Lazar, Emese
University of Reading - ICMA Centre
Posted:
25 Oct 11
Last Revised:
02 Jan 13
375
(52,752)
2

14.  
Bühler, Wolfgang
University of New South Wales, Australian Business School
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
24 May 10
319
(60,341)
1

15.  
American Option Valuation: Implied Calibration of GARCH Pricing-Models | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Futures Markets, Vol. 31, No. 10, 2011
Number of Pages in PDF File: 36
Weber, Michael
University of Chicago - Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
09 Sep 09
Last Revised:
26 Apr 12
314
(66,721)
 

16.  
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
11 Mar 10
Last Revised:
21 Jun 15
294
(70,167)
 

17.  
The Case of Negative Day-Ahead Electricity Prices | Show Abstract | Download This Paper | Open PDF in Browser |
Energy Economics, Vol. 35, No. 1, 2013
Number of Pages in PDF File: 46
Fanone, Enzo
Energetic Source Spa - Renova Group
Gamba, Andrea
University of Warwick - Finance Group
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
13 May 11
Last Revised:
11 Mar 14
250
(82,450)
3

18.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Sumawong, Anannit
University of Sussex
Posted:
16 Jan 12
Last Revised:
29 Dec 13
203
(102,388)
 

19.  
Electricity Derivatives Pricing with Forward-Looking Information | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Economic Dynamics and Control, 58, September, 34-57 (2015)
Number of Pages in PDF File: 57
Füss, Roland
University of St. Gallen - School of Finance
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
19 Feb 13
Last Revised:
29 Mar 16
188
(101,472)
 

20.  
D'Acunto, Francesco
University of Maryland
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Weber, Michael
University of Chicago - Finance
Posted:
16 Dec 13
Last Revised:
17 Dec 15
181
(96,605)
 

21.  
Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector | Show Abstract | Download This Paper | Open PDF in Browser |
Applied Financial Economics, Vol. 20, No. 20, 2010
Number of Pages in PDF File: 31
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
02 Feb 10
Last Revised:
26 Apr 12
166
(129,100)
1

22.  
Booms and Busts in Commodity Markets: Bubbles or Fundamentals? | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Futures Markets, Forthcoming
Number of Pages in PDF File: 38
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
02 Feb 14
Last Revised:
01 Mar 15
134
(145,014)
 

23.  
Optimal Portfolio Choice in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets | Show Abstract | Download This Paper | Open PDF in Browser |
Decisions in Economics and Finance, Vol. 34, No. 2, pp. 141-168, 2011
Number of Pages in PDF File: 41
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
10 Feb 11
Last Revised:
30 Jan 12
134
(153,726)
1

24.  
Time-Variations in Commodity Price Jumps | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Empirical Finance, Forthcoming
Number of Pages in PDF File: 32
Diewald, Laszlo
Technische Universität München (TUM)
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
ICMA Centre
Posted:
10 Aug 13
Last Revised:
21 Feb 15
119
(160,278)
 

25.  
Jump and Variance Risk Premia in the S&P 500 | Show Abstract | Download This Paper | Open PDF in Browser |
Journal of Banking and Finance, Forthcoming
Number of Pages in PDF File: 39
Neumann, Maximilian
Technische Universität München (TUM)
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
ICMA Centre
Posted:
02 Jul 14
Last Revised:
02 Apr 16
108
(141,676)
 

26.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
30 Dec 13
Last Revised:
03 Nov 14
103
(148,484)
 

27.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
ICMA Centre
Posted:
14 Jun 14
Last Revised:
26 Aug 15
98
(142,473)
 

28.  
Electricity Spot and Derivatives Pricing When Markets are Interconnected | Show Abstract | Download This Paper | Open PDF in Browser |
University of St.Gallen, School of Finance Research Paper No. 13/23
Number of Pages in PDF File: 39
Füss, Roland
University of St. Gallen - School of Finance
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
13 Jan 14
Last Revised:
17 Jun 15
87
(183,014)
 

29.  
Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach | Show Abstract | Download This Paper | Open PDF in Browser |
University of St.Gallen, School of Finance Research Paper No. 2015/12
Number of Pages in PDF File: 50
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Füss, Roland
University of St. Gallen - School of Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
15 Oct 14
Last Revised:
08 Sep 15
73
(193,163)
 

30.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Vicedom, Sebastian
Leibniz Universität Hannover - Faculty of Economics and Management
Posted:
18 Mar 15
59
(193,163)
 

31.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Symeonidis, Lazaros
University of East Anglia (UEA) - Norwich Business School
Verlaat, Timo
Zeppelin University
Posted:
15 Jun 14
44
(252,421)
 

32.  
Arismendi, J. C.
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
25 Aug 14
38
(299,974)
 

33.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Symeonidis, Lazaros
University of East Anglia (UEA) - Norwich Business School
Wese Simen, Chardin
ICMA Centre
Posted:
28 Aug 15
Last Revised:
31 Aug 15
22
(314,331)
 

34.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Symeonidis, Lazaros
University of East Anglia (UEA) - Norwich Business School
Posted:
24 Oct 15
0
(195,774)
 

35.  
Risk Premia in Covered Bond Markets | Show Abstract |
Journal of Fixed Income, Vol. 22, No. 2, 2012
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
Posted:
18 Jan 12
Last Revised:
02 Jan 13
 

36.  
Arismendi, J. C.
University of Reading - ICMA Centre
Back, Janis
WHU - Otto Beisheim School of Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
Posted:
05 Jul 11
Last Revised:
02 Feb 16
0
(368,423)
 

37.  
Rachev, Svetlozar
Stony Brook University
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Schindlmayr, Gero
affiliation not provided to SSRN
Trück, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Posted:
24 Oct 07
 


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